"cursor_location property cannot be animated" error in Blender
Where in Blender UI is your mouse cursor hovering when you press the I key?
Are you by any chance hovering the 3D Cursor Position coordinate boxes?

You seem to be trying to animate the 3D cursor position, which apparently is not animatable. As far as I know it is part of Blender UI data or temporary run time data, I think, not a property from your scene, and thus not a type or data that can be stored or animated.